This paper studies the impact effect of monetary policy shocks&#x2014;identified by the reaction of three month market interest rates to policy announcements&#x2014;on the exchange rate in Australia, Canada, and New Zealand during the 1990s. The main results are that (1) on average, a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact; (ii) seemingly &#x201C;perverse&#x201D; reactions of the exchange rate to monetary policy are mainly attributable to reverse causality; (iii) in a few instances, there were true &#x201C;perverse&#x201D; reactions of exchange rates to policy&#x2014; generally, appreciations following expansionary shocks.